1. INFLACIÓN, INCERTIDUMBRE INFLACIONARIA Y CRECIMIENTO ECONÓMICO: EVIDENCIA EMPÍRICA CON MODELOS GARCH BIVARIADOS PARA BRASIL Y MÉXICO.
- Author
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Cruz Zuñiga, Margarita, Ramírez Tapia, Diana Laura, and Rosas Rojas, Eduardo
- Subjects
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ARCH model (Econometrics) , *PRICE inflation , *ECONOMIC expansion , *OPPORTUNISM (Psychology) , *CONSUMER behavior , *ECONOMIC uncertainty , *FINANCIAL markets , *GARCH model , *POOR people , *UNCERTAINTY - Abstract
This paper analyzes the impact of the feedback relationship that exists between inflation, its uncertainty, and the economic growth of the two main Latin American economies. A Bivariate Generalized Autoregressive Conditional Heteroscedasticity model is developed, which also allows the identification of asymmetric impacts on the conditional volatility of the product and inflation, the sample period corresponds to January 1985 to June 2019. Additionally, causality tests are developed to identify the fulfillment of the main hypotheses raised. Among the main findings is the verification of the Friedman-Ball hypothesis for both countries in most of the lags. Regarding the second hypothesis, it is found that the central bank of Mexico has presented a stabilizing behavior, while in the Brazilian case an opportunistic behavior has been identified. In the third hypothesis, no causal relationship of inflationary uncertainty towards economic growth is identified, in the case of Mexico; while, in the case of Brazil, an ambivalent causality has been identified, regarding the number of lags. Finally, in the fourth hypothesis we find results that corroborate, mainly for both economies, a positive effect from inflation on economic growth. [ABSTRACT FROM AUTHOR]
- Published
- 2022